Related papers: On Conditional Chisini Means and Risk Measures
The main purpose of this short note is to present an adaptation of the multilinear Bellman function technique from [4] to the time-frequency analysis. Demeter and Thiele introduced the two-dimensional bilinear Hilbert transform in [3] and…
We generalize Quasi-Linear Means by restricting to the tail of the risk distribution and show that this can be a useful quantity in risk management since it comprises in its general form the Value at Risk, the Tail Value at Risk and the…
This survey gives an introduction to monetary measures of risk as monotone and cash additive functions on spaces of univariate random variables. Primal and dual representation results as well as several examples are discussed. Principal…
In this article, we review selective inference, a set of techniques for inference when the statistical question asked is a function of the data. This setting often arises in contemporary scientific workflows, where hypotheses and parameters…
A weighted automaton is functional if any two accepting runs on the same finite word have the same value. In this paper, we investigate functional weighted automata for four different measures: the sum, the mean, the discounted sum of…
An $n$-mean (also called a ''topological social choice rule'') on a topological space $X$ is a continuous function $p:X^n\to X$ satisfying $p(x,\dots, x)=x$ for every $x\in X$ and $p(x_1,\dots, x_n)=p(x_{\sigma(1)},\dots x_{\sigma(n)})$ for…
A nonlinear stochastic differential equation with the order of nonlinearity higher than one, with several discrete and distributed delays and time varying coefficients is considered. It is shown that the sufficient conditions for…
This study introduces a new analytical framework for quantifying multivariate risk measures. Using the Wishart process, which is a stochastic process with values in the space of positive definite matrices, we derive several conditional tail…
Social order cannot be considered as a stable phenomenon because it contains an order of reproduced expectations. When the expectations operate upon one another, they generate a non-linear dynamics that processes meaning. Specific meaning…
Shortfall systemic (multivariate) risk measures $\rho$ defined through an $N$-dimensional multivariate utility function $U$ and random allocations can be represented as classical (one dimensional) shortfall risk measures associated to an…
This paper focuses on vector-valued composite functionals, which may be nonlinear in probability. Our primary goal is to establish central limit theorems for these functionals when mixed estimators are employed. Our study is relevant to the…
Social order does not exist as a stable phenomenon, but can be considered as "an order of reproduced expectations." When anticipations operate upon one another, they can generate a non-linear dynamics which processes meaning. Although…
This paper presents the general form and essential properties of the q-optimal measure following the approach of Delbaen and Schachermayer (1996) and proves its existence under mild conditions. Most importantly, it states a necessary and…
This paper generalizes results concerning strong convexity of two-stage mean-risk models with linear recourse to distortion risk measures. Introducing the concept of (restricted) partial strong convexity, we conduct an in-depth analysis of…
In [Lavielle and Ludena 07], a random thresholding metho d is intro duced to select the significant, or non null, mean terms among a collection of independent random variables, and applied to the problem of recovering the significant…
An interesting line of research is the investigation of the laws of random variables known as Dirichlet means. However, there is not much information on interrelationships between different Dirichlet means. Here, we introduce two…
This paper proposes the asymmetric linear double autoregression, which jointly models the conditional mean and conditional heteroscedasticity characterized by asymmetric effects. A sufficient condition is established for the existence of a…
Causal models, also known as Structural Equation Models (SEM), are a well-known formalism for representing and reasoning about causal dependencies between events. In this paper, we show that Temporal SEMs (TSEMs), which extend SEMs to…
The causal inference model proposed by Lee (2008) for the regression discontinuity design (RDD) relies on assumptions that imply the continuity of the density of the assignment (running) variable. The test for this implication is commonly…
In the 1980s, Kubo and Ando introduced operator means on $\mathbb{P}$, the open convex cone of positive definite operators. One significant example is the weighted geometric mean $$ A \sharp_{t} B = A^{1/2} (A^{-1/2} B A^{-1/2})^{t}…